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Testing for Granger non-causality using the autoregressive metric

✍ Scribed by Di Iorio, Francesca; Triacca, Umberto

Book ID
121722534
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
295 KB
Volume
33
Category
Article
ISSN
0264-9993

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## Abstract In this paper we propose Granger (non‐)causality tests based on a VAR model allowing for time‐varying coefficients. The functional form of the time‐varying coefficients is a logistic smooth transition autoregressive (LSTAR) model using time as the transition variable. The model allows f